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Finite-sample size distortion of the AESTAR unit root test : GARCH, corrected variance-covariance matrix estimators and adjusted critical values
Cook, Steven - In: Applied economics letters 23 (2016) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10011430513
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Panel versus GARCH information in unit root testing with an application to financial markets
Westerlund, Joakim; Narayan, Paresh Kumar - In: Economic modelling 41 (2014), pp. 173-176
Persistent link: https://www.econbiz.de/10010438367
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Interdependence between India Stock Market and developed economies stock markets during major stock market crashes
Kannan, R. Kumara; Jesiah, Selvam - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 537-550
Persistent link: https://www.econbiz.de/10013472761
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Bias correction of KPSS test with structural break for reducing of size distortion
Skrobotov, Anton - In: Journal of time series econometrics 6 (2014) 1, pp. 33-61
Persistent link: https://www.econbiz.de/10010225253
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Restricted likelihood ratio tests in predictive regression
Phillips, Peter C. B.; Chen, Ye - 2014
Persistent link: https://www.econbiz.de/10010464129
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The finite-sample size of the BDS test for GARCH standardized residuals
Fernandes, Marcelo; Preumont, Pierre-Yves - In: Brazilian review of econometrics : BRE ; the review of … 32 (2012) 2, pp. 241-260
Persistent link: https://www.econbiz.de/10011538566
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Do the lag lengths matter in terms of size and power properties of nonlinear unit root tests?
Hepsağ, Aycan - In: Selected topics in applied econometrics, (pp. 148-160). 2019
Persistent link: https://www.econbiz.de/10012286978
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A practical guide to weak instruments
Keane, Michael P.; Neal, Timothy - 2021
Persistent link: https://www.econbiz.de/10012628852
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On asymptotic size distortions in the random coefficients logit model
Ketz, Philipp - In: Journal of econometrics 212 (2019) 2, pp. 413-432
Persistent link: https://www.econbiz.de/10012304029
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Wavelet energy ratio unit root tests
Trokić, Mirza - In: Econometric reviews 38 (2019) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10012180698